title: "The Sim.DiffProc Package" author: - A.C. Guidoum^[Department of Probabilities & Statistics, Faculty of Mathematics, University of Science and Technology Houari Boumediene, BP 32 El-Alia, U.S.T.H.B, Algeria, E-mail (acguidoum@usthb.dz)] and K. Boukhetala^[Faculty of Mathematics, University of Science and Technology Houari Boumediene, BP 32 El-Alia, U.S.T.H.B, Algeria, E-mail (kboukhetala@usthb.dz)] output: html_document: keep_md: yes self_contained: no editor_options: markdown: wrap: 72
The package Sim.DiffProc is an object created in R for symbolic and numerical computations on scalar and multivariate systems of stochastic differential equations. It provides users with a wide range of tools to simulate, estimate, analyze, and visualize the dynamics of these systems in both forms Ito and Stratonovich. The project was officially launched in September 2010 and is under active development by the authors. The current feature set of the package can be split in more main categories: Computing the stochastic integrals of Ito or Stratonovich type. Simulation sde's and bridge sde's of Ito or Stratonovich type (1,2 and 3-dim), with different methods. Approximate transition density and random number generators for SDE's. Density approximation for First-passage-time (f.p.t) in SDE's (1,2 and 3-dim). Statistical analysis with Parallel Monte-Carlo and moment equations methods of SDE's (1,2 and 3-dim). Estimate drift and diffusion parameters using pseudo-maximum likelihood estimators of 1-dim SDE's. Displaying an object inheriting from a class of SDE's.
The package includes the following categories (where k=1,2,3
):
snssdekd()
& dsdekd()
& rsdekd()
- Monte-Carlo Simulation and
Analysis of Stochastic Differential
Equations.bridgesdekd()
& dsdekd()
& rsdekd()
- Constructs and Analysis
of Bridges Stochastic Differential
Equations.fptsdekd()
& dfptsdekd()
- Monte-Carlo Simulation and Kernel
Density Estimation of First passage
time.MCM.sde()
& MEM.sde()
- Parallel Monte-Carlo and Moment
Equations for
SDEs.TEX.sde()
- Converting Sim.DiffProc Objects to
LaTeX.fitsde()
- Parametric Estimation of 1-D Stochastic Differential
Equation.As Sim.DiffProc
is an R
package, it requires R version 3.0.0
or
higher to be installed, distributed as open source software under the
GPL-2/GPL-3 license. The package is available from CRAN at URL
https://CRAN.R-project.org/package=Sim.DiffProc, or from GitHub at URL
https://github.com/acguidoum/Sim.DiffProc. To download, install and
load the current release, just type the code below in your current R
session:
install.packages("Sim.DiffProc") ## stable version
## Or
install.packages("devtools")
devtools::install_github("acguidoum/Sim.DiffProc") ## development version
library("Sim.DiffProc")
It is a requirement of the R packaging system that every function and data set in a package has a help page. The Sim.DiffProc package follows this requirement strictly. In addition to the help pages, the package includes vignettes and demonstration scripts. First read the package vignette Then read the reference manual.
browseVignettes(package = "Sim.DiffProc")
and
demo(package = "Sim.DiffProc")
Obviously, the package leaves many other fields of stochastic modeling
with Ito and Stratonovich SDE's untouched. For this situation to change,
we hope that experts in their field will join their efforts to ours and
contribute code to the Sim.DiffProc project. The project will continue
to grow and improve by the authors to the community of developers and
users. If you use
Sim.DiffProc please
cite the software in publications; use citation()
for information on
how to cite the software;
citation("Sim.DiffProc")
#
# To cite package 'Sim.DiffProc' in publications use:
# Guidoum AC, Boukhetala K (2020). “Performing Parallel Monte Carlo and Moment Equations Methods for Itô
# and Stratonovich Stochastic Differential Systems: R Package Sim.DiffProc.” Journal of Statistical Software,
# 96(2), 1-82. doi:10.18637/jss.v096.i02.
A BibTeX entry for LaTeX users is
@Article{,
title = {Performing Parallel Monte Carlo and Moment Equations Methods for It\^{o} and Stratonovich Stochastic Differential Systems: {R} Package {Sim.DiffProc}},
author = {Arsalane Chouaib Guidoum and Kamal Boukhetala},
journal = {Journal of Statistical Software},
year = {2020},
volume = {96},
number = {2},
pages = {1--82},
doi = {10.18637/jss.v096.i02},
}
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